| confint.tsgarch.estimate {tsgarch} | R Documentation |
Confidence Intervals for Model Parameters
Description
Confidence Intervals for Model Parameters
Usage
## S3 method for class 'tsgarch.estimate'
confint(object, parm, level = 0.95, vcov_type = "H", ...)
Arguments
object |
an object of class tsgarch.estimate. |
parm |
a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered. |
level |
the confidence level required. |
vcov_type |
valid choices are “H” for using the analytic hessian for the bread, “OP” for the outer product of gradients, “QMLE” for the Quasi-ML sandwich estimator (Huber-White), and “NW” for the Newey-West adjusted sandwich estimator (a HAC estimator). |
... |
additional parameters passed to the Newey-West bandwidth function to determine the optimal lags. |
Value
A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).